That news comes from a study of more than 19,000 men and women in Scotland who completed surveys about their mental health and physical activity.

The surveys, taken between 1995 and 2003, covered a wide range of activities, including sports, walking, heavy-duty housework, and gardening. Participants noted how often, and how vigorously, they did those things.

A total of 3,200 participants had a high level of psychological distress.

People who got as little as 20 minutes per week of any physical activity were less likely than inactive people to report psychological distress. Taking part in sports and getting daily physical activity showed the strongest link to less psychological distress.

Being active can help manage stress, note the researchers, who included Mark Hamer, PhD, of University College London's department of epidemiology and public health.

"Although as little as 20 minutes of physical activity might provide some benefit, those individuals that were physically active every day had the lowest risks of mental and physical ill health," Hamer tells WebMD in an email. "Therefore, I'd recommend to stick to current guidelines that suggest at least 30 minutes of moderate to vigorous activity five times per week."

The study, published in the advance online edition of the British Journal of Sports Medicine, doesn't show which came first: active lives or less psychological distress. "The state of depression can make people less active," Hamer says.

Still, the findings held regardless of age, sex, social class, BMI (body mass index), long-standing illness, smoking, and other factors.